The goal of this study was to identify protective and risk factors linked to substance use during adolescence. A sample of 1000 subjects participated in a four‐wave data collection. Results showed that precocious substance use is likely to be persistent. Moreover, school inadaptation, lack of parental supervision and positive self‐perception in relationships with peers have been identified as risk factors predictive of cigarette, alcohol and drug use. Protective factors were associated with high moral qualities and negative reaction to mother's use of cigarettes and alcohol. Findings are discussed in terms of developmental trajectories which might lead to substance use and abuse through adult life.